Vice President, CM Quantitative Research

About the role

Design, calibrate, and enhance interest rate and derivative pricing models, and develop valuation frameworks for fixed-income products including mortgage-backed securities, whole loans, and mortgage servicing rights. Provide quantitative support for pipeline and portfolio hedging, while implementing model testing, stress testing, documentation, and risk governance practices. A postgraduate degree in a quantitative discipline is preferred, with at least five years of relevant experience for candidates with a master's degree or three years of post-degree experience for Ph.D. holders. Candidates should have strong mathematical and programming skills, including stochastic calculus, PDEs, numerical methods, Python, C++, or R, and SQL, as well as knowledge of fixed-income markets and mortgage cash flows.